Optimal capital structure and endogenous default

From MaRDI portal
Revision as of 11:04, 1 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1849796

DOI10.1007/s007800100058zbMath1002.91019OpenAlexW2018881312MaRDI QIDQ1849796

Bianca Hilberink, L. C. G. Rogers

Publication date: 1 December 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100058




Related Items (58)

The dependence of assets and default threshold with thinning-dependence structureParisian excursion with capital injection for drawdown reflected Lévy insurance risk processHow do capital structure and economic regime affect fair prices of bank's equity and liabilities?Pricing equity warrants with a promised lowest price in Merton's jump-diffusion modelTempered stable structural model in pricing credit spread and credit default swapPricing of Multi‐Defaultable Bonds with a Two‐Correlated‐Factor Hull–White ModelOld and New Examples of Scale Functions for Spectrally Negative Lévy ProcessesOn deposit volumes and the valuation of non-maturing liabilitiesA Generalized Renewal Equation for Perturbed Compound Poisson Processes with Two-Sided JumpsEMPIRICAL STUDIES OF STRUCTURAL CREDIT RISK MODELS AND THE APPLICATION IN DEFAULT PREDICTION: REVIEW AND NEW EVIDENCEEstimating Gerber-Shiu functions from discretely observed Lévy driven surplusOptimal stopping made easyRisk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion modelAN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTINGCredit spreads, endogenous bankruptcy and liquidity riskCredit market frictions and capital structure dynamicsDividends and leverage: how to optimally exploit a non-renewable investmentDecomposition of default probability under a structural credit risk model with jumpsStructural credit risk model driven by Lévy process under knight uncertaintyMeromorphic Lévy processes and their fluctuation identitiesPredicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S.The Leland-Toft optimal capital structure model under Poisson observationsFinite-time survival probability and credit default swaps pricing under geometric Lévy marketsThe first passage time problem for mixed-exponential jump processes with applications in insurance and financeAnalysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in financeAmerican options: the EPV pricing modelThe optimal capital structure of the firm with stable Lévy assets returnsOLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONSFunding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run modelPrinciples of smooth and continuous fit in the determination of endogenous bankruptcy levelsA NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLSPricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with JumpsRETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBTEffects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation ModelsPrecautionary measures for credit risk management in jump modelsPRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSESA Structural Approach to Default Modelling with Pure Jump ProcessesOn the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy ModelsEvaluating corporate bonds with complicated liability structures and bond provisionsCREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESSRefracted Lévy processesAmerican step-up and step-down default swaps under Lévy modelsAsymptotic analysis for one-name credit derivativesGhost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion methodStructural pricing of CoCos and deposit insurance with regime switching and jumpsSwitching tax structure and payouts in endogenous bankruptcy modelsAn ODE approach for the expected discounted penalty at ruin in jump-diffusion modelAn Integral-Equation Approach for Defaultable Bond Prices with Application to Credit SpreadsEvaluating Scale Functions of Spectrally Negative Lévy ProcessesStructural recovery of face value at defaultCONIC FINANCE AND THE CORPORATE BALANCE SHEETCREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISKOPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELSStochastic Volatility Effects on Defaultable BondsFlexing the default barrierAn extension of CreditGrades model approach with Lévy processesEvaluation and default time for companies with uncertain cash flowsPricing credit default swaps with bilateral value adjustments






This page was built for publication: Optimal capital structure and endogenous default